Portfolio optimization and stochastic volatility asymptotics
Jean-Pierre Fouque, Ronnie Sircar, Thaleia Zariphopoulou
| Year of publication: |
July 2017
|
|---|---|
| Authors: | Fouque, Jean-Pierre ; Sircar, Kaushik Ronnie ; Zariphopoulou-Souganidis, Thaleia |
| Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 27.2017, 3, p. 704-745
|
| Subject: | portfolio optimization | asymptotic analysis | stochastic volatility | Portfolio-Management | Portfolio selection | Theorie | Theory | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/mafi.12109 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011764969